In this seminar Bao Nguyen will provide new empirical evidence on the asymmetric reactions of the US natural gas market and US economy to its market fundamental shocks in different phases of the business cycle. To this end, Bao employs a smooth-transition vector autoregression (STVAR) model to capture the asymmetric responses depending on economic conditions. The results found by the author indicates that in contrast to the prediction made by a linear VAR model, the STVAR model provides a plausible explanation to the behavior of the US natural gas market, which asymmetrically reacts in bad times and good times. In addition, US economic activity is found to be much more sensitive to oil and natural gas price shocks occurring in recessions than in expansions.

Bao Nguyen is a PhD scholar at Crawford School of Public Policy. His current research is applied macroeconomics with a focus on the relationship between commodity price dynamics and macroeconomic performances of various economies, e.g. Australian, Chinese and the US.

The CAMA Macroeconomics Brown Bag Seminars offer CAMA speakers, in particular PhD students, an opportunity to present their work in progress in front of their peers, and reputable visitors to showcase their work.